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Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters

Grahovac, Danijel, Leonenko, Nikolai N. and Taqqu, Murad S. 2015. Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters. Journal of Statistical Physics 158 (1) , pp. 105-119. 10.1007/s10955-014-1126-4

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Abstract

Linear fractional stable motion is an example of a self-similar stationary increments stochastic process exhibiting both long-range dependence and heavy-tails. In this paper we propose methods that are able to estimate simultaneously the self-similarity parameter and the tail parameter. These methods are based on the asymptotic behavior of the so-called “empirical structure function”, a statistic which resembles a sample moment of the process. We show and use the fact that the rate of growth of the empirical structure function is determined by the Hurst parameter and the tail index. We test the methods on simulated data and apply them to network traffic and solar flares data

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Publisher: Springer
ISSN: 0022-4715
Date of First Compliant Deposit: 30 March 2016
Last Modified: 30 Jun 2019 07:40
URI: http://orca.cf.ac.uk/id/eprint/65996

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